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Any investment decision necessitates the prior evaluation of risk and reward attributes associated with investing in a particular security or portfolio of securities. With the plethora of schemes to choose from and increasing awareness amongst the general public, mutual funds have been emerging as a desired investment option in comparison to other investment avenues. However, before making an investment decision, the investor has to examine the various macroeconomic factors. There are numerous variables at the economy, industry and the company level which have an influence on the investment choices of the investors. In this context, the present study attempts to ascertain the macroeconomic factors which have an impact on the mutual funds market. The association between the Mutual funds market and the macroeconomic variables has been analysed using Regression model. Further, the Existence of causal relationship has been analysed using the Granger Causality test. It is apparent from the study that the Real macroeconomic variables considered for the analysis do not have a significant influence on the Mutual funds market and were not found to be reliable to even predict the market movements.

Keywords

Macroeconomic, Regression, Granger Causality, Causal Relationship etc.

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References

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Volatility of Indian Stock Market-A Study of BSE Sensex

Abstract Views :331 | PDF Views:5

Authors

Kavita ¹

Affiliations
1 Punjabi University, Patiala, IN

Source

MERI-Journal of Management & IT, Vol 11, No 1 (2017), Pagination: 67-77

Abstract

BSE Sensex is India’s benchmark index for Indian equity market. The present study attempts to analyse whether the Past Sensex returns has an explanatory power for today’s Sensex returns. Daily data of BSE closing prices from April 2000 to March 2015 has been used for the study. BSE Sensex returns have been estimated as the first difference of the log of the daily closing prices. GARCH (1, 1) has been developed to model the volatility of BSE Sensex returns. The results revealed that Past Sensex returns have GARCH effect in the today’s Sensex returns.

Keywords

Heteroscedasticity, ARCH, GARCH, Volatility, BSE Sensex, Stock Market Returns, Lagged Returns.

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References

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A Study on Volatility of S&P CNX Nifty in Indian Securities Market

Abstract Views :435 | PDF Views:6

Authors

Kavita ¹

Affiliations
1 Management Education and Research Institute, New Delhi, IN

Source

MERI-Journal of Management & IT, Vol 11, No 2 (2018), Pagination: 14-25

Abstract

S&P CNX Nifty is national stock exchange of India’s benchmark stock market index for Indian equity market. The present paper attempts to investigate whether the Previous day’s Nifty returns has an explanatory power for today’s Nifty returns. Daily data of sample of 3671 observations from January 2000 to December 2015 has been used for the study. CNX Nifty returns are calculated as the first difference of the log of the daily closing price. GARCH (1,1) has been developed to model the volatility of CNX Nifty returns. The GARCH model is a time series modeling technique which provides for Heteroscedasticity in the observed returns. Empirical results have shown that previous day’s Nifty returns have GARCH effect in the today’s Nifty returns.

Keywords

Heteroscedasticity, ARCH, GARCH, Volatility, CNX Nifty, Lagged Returns.

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